Related papers: On the value of optimal stopping games

Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…

We introduce two-level discounted games played by two players on a perfect-information stochastic game graph. The upper level game is a discounted game and the lower level game is an undiscounted reachability game. Two-level games model…

We study a game with \emph{strategic} vendors who own multiple items and a single buyer with a submodular valuation function. The goal of the vendors is to maximize their revenue via pricing of the items, given that the buyer will buy the…

For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of…

We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions $f$ and transition kernels $Q$ for time-inconsistent stopping problems under nonexponential discounting in discrete time. First,…

We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly…

We introduce a model of sender-receiver stopping games, where the state of the world follows an iid--process throughout the game. At each period, the sender observes the current state, and sends a message to the receiver, suggesting either…

A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…

In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…

Leveraging tools from the study of linear fractional transformations and algebraic Riccati equations, a local characterization of consistent conjectural variations equilibrium is given for two player games on continuous action spaces with…

In a zero-sum stochastic game with signals, at each stage, two adversary players take decisions and receive a stage payoff determined by these decisions and a variable called state. The state follows a Markov chain, that is controlled by…

Pursuit-Evasion Games (in discrete time) are stochastic games with nonnegative daily payoffs, with the final payoff being the cumulative sum of payoffs during the game. We show that such games admit a value even in the presence of…

In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…

In this paper, we propose a new efficient algorithm to compute the value function for zero-sum stopping games featuring two players with opposing interests. This can be seen as a game version of the ''forward algorithm'' for (one-player)…

We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available…

We provide an elementary proof that revenue-maximizing mechanisms exist in multi-parameter settings whenever the distribution of valuations has finite expectation.

We consider a stationary Mean Field Games system defined on a network. In this framework, the transition conditions at the vertices play a crucial role: the ones here considered are based on the optimal control interpretation of the…

In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…

We study synchronous values of games, especially synchronous games. It is known that a synchronous game has a perfect strategy if and only if it has a perfect synchronous strategy. However, we give examples of synchronous games, in…

We study two player reachability-price games on single-clock timed automata. The problem is as follows: given a state of the automaton, determine whether the first player can guarantee reaching one of the designated goal locations. If a…